We establish sufficient conditions for differentiability of the expected cost collected over a discrete-time Markov chain until it enters a given set. The parameter with respect to which differentiability is analysed may simultaneously affect the Mar…
We consider the spectral analysis of several examples of bilateral birth–death processes and compute explicitly the spectral matrix and the corresponding orthogonal polynomials. We also use the spectral representation to study some probabilistic proper…
We consider the spectral analysis of several examples of bilateral birth–death processes and compute explicitly the spectral matrix and the corresponding orthogonal polynomials. We also use the spectral representation to study some probabilistic proper…
Bifurcating Markov chains (BMCs) are Markov chains indexed by a full binary tree representing the evolution of a trait along a population where each individual has two children. We provide a central limit theorem for additive functionals of BMCs under …
Bifurcating Markov chains (BMCs) are Markov chains indexed by a full binary tree representing the evolution of a trait along a population where each individual has two children. We provide a central limit theorem for additive functionals of BMCs under …
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure bet…
We study the integrated telegraph process under the assumption of general distribution for the random times between consecutive reversals of direction. Specifically, represents the position, at time t, of a particle moving U time units upwards with v…
We consider two-dimensional Lévy processes reflected to stay in the positive quadrant. Our focus is on the non-standard regime when the mean of the free process is negative but the reflection vectors point away from the origin, so that the reflected pr…
We apply general moment identities for Poisson stochastic integrals with random integrands to the computation of the moments of Markovian growth–collapse processes. This extends existing formulas for mean and variance available in the literature to clo…
We apply general moment identities for Poisson stochastic integrals with random integrands to the computation of the moments of Markovian growth–collapse processes. This extends existing formulas for mean and variance available in the literature to clo…